MARC Record from Library of Congress

LEADER: 02080cam a22003017a 4500
001 2007616395
003 DLC
005 20100423081819.0
007 cr |||||||||||
008 070813s2007 mau sb 000 0 eng
010 $a 2007616395
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aGorton, Gary.
245 14 $aThe fundamentals of commodity futures returns$h[electronic resource] /$cGary B. Gorton, Fumio Hayashi, K. Geert Rouwenhorst.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2007.
490 1 $aNBER working paper series ;$vworking paper 13249
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 8/13/2007.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage. Using a comprehensive dataset on 31 commodity futures and physical inventories between 1969 and 2006, we show that the convenience yield is a decreasing, non-linear relationship of inventories. Price measures, such as the futures basis, prior futures returns, and spot returns reflect the state of inventories and are informative about commodity futures risk premiums. The excess returns to Spot and Futures Momentum and Backwardation strategies stem in part from the selection of commodities when inventories are low. Positions of futures markets participants are correlated with prices and inventory signals, but we reject the Keynesian "hedging pressure" hypothesis that these positions are an important determinant of risk premiums"--National Bureau of Economic Research web site.
700 1 $aHayashi, Fumio.
700 1 $aRouwenhorst, K. Geert.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 13249.
856 40 $uhttp://papers.nber.org/papers/w13249